It has not been a good month for Wall Street. On February 4th, Michael Lewis came out with guns blazing against Greg Smith’s “Why I left Goldman Sachs”. Branding Mr. Smith as tone deaf, self serving and narcissistic is something that would have really tickled Goldman on any other day in February. Unfortunately Lewis didn’t stop [...]
Emirates Lounge – Concourse A, the A380 terminal at Dubai AirportIn a different life, Kristina Meyers my last boss in Leesburg, Virginia, introduced me to the United lounge at Logan airport in Boston. Since I worked for a firm of accountants in an emerging, frontier market nation, travelling business had never been an option during [...]
Option Pricing – Pricing Exotic Options using Monte Carlo simulators This is our third post in the Exotic Option pricing using Monte Carlo Simulation series. We walk through the minor tweaks required in our Monte Carlo Simulation model to price Asian, Lookback, Barrier & Chooser Options. Our assumption is that you have been following our prior posts [...]
I have always been fascinated by Sunrise and sunsets, espcially when I am out travelling. Here is an unfinished series that I started a few months ago. Modeled horizons include Singapore, Dubai, Karachi, and the famous Grand Trunk road that runs from Delhi all the way to Afghanistan.
Option pricing using Monte Carlo Simulation In our post on Option Pricing using Monte Carlo Simulation, we walk through a simple modeling framework used for pricing vanilla as well as exotic options in Excel. After the framework is introduced we drop a few hints on how to price Asian, Barrier, Ladder & Chooser options using Monte [...]
Exotic Derivatives & Option pricing weekend challenge This week exotic option pricing challenge focuses on chooser and compound option pricing using Monte Carlo Simulation in Excel. Hints to the solution will be posted separately within the next 12 hours. Let’s see if you can crack this first before I go ahead and post the solved solution. [...]
The last round of pictures from my morning walks in the Hortpark, Alexandra Arch, Forest Walk neighbourhood. Incase we met before sunrise, I was the indecently dressed guy armed with a camera and a stick. The yellow caterpillar, the wood pecker and the bumble bee in action remain my all time favorites. A [...]
Calculating Conditional Value at Risk (CVaR) or Expected Short fall using Historical returns. Imagine a board meeting where you have just presented your Value at Risk (VaR) analysis and a board member asks a simple question. “So what are we talking about here? What is the expectation? What is the most that we can drop if [...]
The boring risk training course traffic update It has been an uphill and downhill ride for the last two years. We have had many moments to celebrate as well as a handful of frustrating close calls. But this morning as I looked at the analytics I realiz...
For the first time since the new T-3 lounge opened at Dubai airport, its empty at 6 am in the morning. Historically come 6 am and the lounge becomes a portrait of weary travelers in search of available space to crash, land, change, shower and chill. But the only problem with that portrait before 1st [...]